Consistency Conditions for Affine Term Structure Models Ii. Option Pricing Under Diffusions with Embedded Jumps

Levendorskii, Sergei

doi:10.2139/ssrn.627622

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Consistency Conditions for Affine Term Structure Models Ii. Option Pricing Under Diffusions with Embedded Jumps

20 Pages Posted: 1 Dec 2004

See all articles by Sergei Levendorskii

Sergei Levendorskii

Calico Science Consulting

Date Written: November 30, 2004

Abstract

Sufficient conditions for the application of the Feynman-Kac formula for option pricing for wide classes of affine term structure models in the jump-diffusion case are derived generalizing earlier results for bond pricing in the pure diffusion case.

Keywords: affine term structure models,Feynman-Kac

JEL Classification: E43

Suggested Citation: Suggested Citation

Levendorskii, Sergei Z., Consistency Conditions for Affine Term Structure Models Ii. Option Pricing Under Diffusions with Embedded Jumps (November 30, 2004). Available at SSRN: https://ssrn.com/abstract=627622 or http://dx.doi.org/10.2139/ssrn.627622